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Medium band least squares estimation of fractional cointegration in the presence of low-requency contamination

Christensen, Bent Jesper; Varneskov, Rasmus Tangsgaard - 2015

Persistent link: https://www.econbiz.de/10010529447

Medium band least squares estimation of fractional cointegration in the presence of low-frequency contamination

Christensen, Bent Jesper; Varneskov, Rasmus Tangsgaard - In: Journal of econometrics 197 (2017) 2, pp. 218-244

Persistent link: https://www.econbiz.de/10011818356

Semiparametric analysis of stationary fractional cointegration and the implied-realized volatility relation in high-frequency options data

Christensen, Bent Jesper (contributor); … - 2001 - [Elektronische Resource]

Persistent link: https://www.econbiz.de/10001599144

Semiparametric analysis of stationary fractional cointegration and the implied-realized volatility relation in high frequency

Christensen, Bent Jesper (contributor); … - 2001 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001599613

Asymptotic normality of narrow-band least squares in the stationary fractional cointegration model and volatility forecasting

Christensen, Bent Jesper; Nielsen, Morten Ørregaard - In: Journal of econometrics 133 (2006) 1, pp. 343-371

Persistent link: https://www.econbiz.de/10003354581

Climate, wind energy, and CO2 emissions from energy production in Denmark

Carlini, Federico; Christensen, Bent Jesper; Gupta, … - In: Energy economics 125 (2023), pp. 1-25

Persistent link: https://www.econbiz.de/10014484367

Asymptotic Normality of Narrow-Band Least Squares in the Stationary Fractional Cointegration Model and Volatility Forecasting

Christensen, Bent Jesper; Nielsen, Morten Ørregaard - 2005

We consider semiparametric frequency domain analysis of cointegration between long memory processes, i.e. fractional cointegration, allowing derivation of useful long-run relations even among stationary processes. The approach is due to Robinson (1994, Annals of Statistics 22, 515-539) and uses...

Persistent link: https://www.econbiz.de/10014067273